tag:blogger.com,1999:blog-897456774486153841.post6730275708326176168..comments2015-01-22T17:45:44.791-08:00Comments on VIX and More: Chart of the Week: VXV and Systemic FailureBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger13125tag:blogger.com,1999:blog-897456774486153841.post-36412452371752428102013-06-18T11:02:01.124-07:002013-06-18T11:02:01.124-07:00Keep on working, great job!
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Low cost Ladies Oakley Sunglasses Online<br /><br />Most of us know we have to protect our skin from unsafe ultraviolet rays when he head outside for prolonged durations of time.[/p]Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-21593888052052949672009-04-12T14:45:00.000-07:002009-04-12T14:45:00.000-07:00Thanks for all the comments.James, I agree that th...Thanks for all the comments.<BR/><BR/>James, I agree that the VIX is at best a single risk proxy and not an all-knowing one at that.<BR/><BR/>Himanshu,<BR/><BR/>I will see if I can answer your question in more detail in an upcoming post, but Anon is correct. If you are interested in replicating the VXV in an index such as the Nifty, historical data (such as moving averages) will be of no use. You need to focus on options that are 3-4 months out and look at implied volatility data for those options.<BR/><BR/>I will publish an example soon.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-86808280785889864972009-04-11T06:16:00.000-07:002009-04-11T06:16:00.000-07:00himanshu:I would suggest you use VIX's formula and...himanshu:<BR/><BR/>I would suggest you use VIX's formula and use the first three months' options of (the Indian equivalent of) SPX to calculate the Indian equivalent of VXV. Please refer to CBOE's white paper for details. The formula may look complicated but it's actually not that bad and it definitely can be implemented in an Excel spreadsheet. Or Matlab. Or you could even write your own C++ program to calculate it. This is how I would suggest you do it.<BR/><BR/>That said, I personally don't think VXV will help you that much in trading because in trading you still have to do it one day at a time so it's VIX that counts and not VXV. Besides, SPX options are traded briskly so by the time you reach a day where the 3rd month is the front month you'll find the VIX calculated now is completely different from the VXV you calculated three months ago. That's why VXV may not matter that much in trading.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-29670785778500940092009-04-11T05:25:00.000-07:002009-04-11T05:25:00.000-07:00i just right click and then click view imagei just right click and then click view imageAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-65043492914960253332009-04-11T04:11:00.000-07:002009-04-11T04:11:00.000-07:00有人知道台北汽車旅館住宿一晚的行情嗎？有人知道<A HREF="http://www.amainmotel.com" REL="nofollow">台北汽車旅館</A>住宿一晚的行情嗎？Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-44999314462493083692009-04-11T01:35:00.000-07:002009-04-11T01:35:00.000-07:00For seeing the chart: I have no problem if I use i...For seeing the chart: I have no problem if I use internet explorer. If I use firefox, the last 10% of the graph disappeas. My simple fix is to reduce the font size. (ctrl-minus)<BR/><BR/>hope this help, annoy 4:31pm<BR/><BR/>ManAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-31689452714724614962009-04-11T00:46:00.000-07:002009-04-11T00:46:00.000-07:00Hello, Greetings for a Happy Easter to you and Fam...Hello, Greetings for a Happy Easter to you and FamilyLorenzohttp://www.blogger.com/profile/15460981179867558831noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-52434303994511684642009-04-11T00:29:00.000-07:002009-04-11T00:29:00.000-07:00I think we may be "sanctifying" the VIX when we sa...I think we may be "sanctifying" the VIX when we say it measures fear because when the VIX soars, it means investors bought lots of SPX puts in a hurry. Why did they do so? Because they thought it could make them money. Look: shorting is the best way to make money, right?, and when you short you'll want to buy puts as well so you can make even more money. So when the VIX soars it simply means the short-sellers are making money and there may not actually be that much fear in the market per se. That's why I view the VIX as simply a way that measures how much investors think they can make money by shorting. That's all.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-69661684738057805962009-04-10T17:58:00.000-07:002009-04-10T17:58:00.000-07:00hi billi am from india and a great fan of yours. H...hi bill<BR/>i am from india and a great fan of yours. Here in india nifty we dont have such advance parameters like vxv and only have india vix by nse( www.nseindia.com).<BR/><BR/>can i take 93 day ma of vix and calculate on excel sheet the vxv and which may guide me in furthur decision making?<BR/>Kindly guide.....<BR/>regardshimanshuhttp://www.blogger.com/profile/15315598415053069980noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-64031380421254659672009-04-10T17:38:00.000-07:002009-04-10T17:38:00.000-07:00Hey Bill,Be careful, dont assume the absence of vo...Hey Bill,<BR/>Be careful, dont assume the absence of volatility is the absence of risk. From 03' to 08' vol was low and risk was building like dynamite. Government gurantees can be put to the test. <BR/>JamesJameshttp://www.blogger.com/profile/12183085827525696523noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-73964814834383661662009-04-10T16:54:00.000-07:002009-04-10T16:54:00.000-07:00Hi Anon,Unfortunately, it's usually the last 10% o...Hi Anon,<BR/><BR/>Unfortunately, it's usually the last 10% of the chart that includes the punch line...<BR/><BR/>Regarding the chart problem, I'm afraid my graphics are not compatible with all monitors. My apologies for the inconvenience. <BR/><BR/>The easiest workaround is to right click on the image, highlight "Copy Image Location," and paste the link into a new browser window.<BR/><BR/>I hope this helps.<BR/><BR/>Thanks for reading and thanks for the kind words.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-14630592248315151572009-04-10T16:31:00.000-07:002009-04-10T16:31:00.000-07:00I enjoy your posts, but your charts are always tru...I enjoy your posts, but your charts are always truncated on the right side of the page, losing about 10% of the chart. Any suggestions on how to fix this? Thanks for all the good work.Anonymousnoreply@blogger.com